We have found Jsmooth to be well-working and easily scriptable with ant under Linux. You may want to use one-jar (also easily scriptable with ant under Linux) to collect a multifile application in a single jar first.
We primarily needed the easy deployment of the EXE combined with the "hey, you need Java version X, go here to download" facilities.
(but what you most likely need is the "Runnable jar" / "Executable jar" facility in standard Java).
